Edited by C. W. J. Granger

Modelling Economic Series

Readings in Econometric Methodology

Edited by C. W. J. Granger

Description

This book helps economists with the difficult task of constructing econometric models and will be especially useful to those taking courses in applied econometrics who need to learn how to evaluate the validity of the theories and techniques they are taught. The volume contains seventeen papers by the leading authorities in the field, divided into four groups, to each of which the editor provides an introduction. The whole volume is prefaced with an editorial discussion of the controversies of the subject.

The methods critically discussed include the traditional ones, such as vector auto-regressions; Bayesian techniques; and the comprehensive modelling strategy advocated by reseachers at the London School of Economics.

The papers vary in the degree of sophistication used, but anyone reading the book should gain a sound knowledge of the practical difficulties involved in model specification, evaluation, and interpretation.

Modelling Economic Series

Readings in Econometric Methodology

Edited by C. W. J. Granger

Reviews and Awards

`The appearance of this volume is singularly welcome and not a minute premature ... For anyone remotely interested in applied economic research, it is hard to recommend this volume strongly enough, and Professor Granger deserves our warmest thanks for putting it together ... Now that we have the implications of the biggest theoretical advance in several decades to unravel, it will be fascinating to watch how the methodology controversy develops. As the show begins, this volume will be an indispendable handbook for both interested spectators and participants in the arena.' Economica -

'The book is a fascinating document which bears witness to the confusion, frustration and occasional anger of a scientific discipline which is beset by failure on every side.' D.S.G. Pollock, The Economic Journal, July 1991 -